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| Author: | Lochte Jorgensen, P. |
| Title: | American-style indexed executive stock options |
| Journal: | European Finance Review
2002 : VOL. 6:3, p. 321-358 |
| Index terms: | Executives Incentives Stock options USA |
| Language: | eng |
| Abstract: | A new pricing model is developed for American-style indexed executive stock options. The author relies on a basic model framework and an indexation shceme first proposed by Johnson and Tian (2000a) in their analysis of European-style indexed options. The author's derivation of the valuation formula represents an instructive example of the usefulness of the change-of-numeraire technique. |
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